Browsing by Issue Date, starting with "2013-11-30"
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- Asset allocation : powered by information correlation flowPublication . Pereira, Ricardo Emanuel Meneses Casquilho; Faias, JoséWe propose a new methodology for tactical asset allocation. We allocate by maximizing a power utility function, while switching between the S&P500 and a safe haven asset, the US dollar-euro exchange rate. Also, we use information flows’ correlation as a signal to restrict the opportunity set accordingly. In an out-of-sample exercise, between 1985 and 2013, our signaling methodology is able to yield an annualized Sharpe ratio of 0.91 and an annualized Certainty Equivalent of 17.42%. We are able to the S&P500 which yields an annualized Sharpe Ratio of 0 and annualized Certainty Equivalent of 0.68%.
- An integration in energy systems : the case of EDP renováveis and Martifer Group : mergers and acquisitionsPublication . Sousa, Ana Rita Frazão de; Tsvetkov, PeterThe recent advent of privatization of one of the main actors in the Energy Industry Sector, in Portugal, made the whole segment to be under the spotlight. The liberalization of the energy segment in Portugal, the vicissitudes in the regulation and the increasing importance of the renewable segment conducted to an amplified interest in studying a possible deal with this industry. Furthermore, when assessing the companies and its potential in terms of performing a deal, the criteria were not only the likelihood of becoming real, but also the existence of an added-value analysis. The possibility of creating a trend in the industry, integrating businesses so far separated enhanced the research and demanded a detailed overview of more than one sector. In fact, consolidation, liberalization and regulation are generic concepts that cover a large spectrum of situations. However, all of them are attributable to the Energy Industry nowadays. Hence, such a wide segment facing several challenges brought up the possibility of a vertical integration of EDP Renováveis (EDP R) with a company in the energy systems segment as a key-movement. Consequently, Martifer Group SGPS (Martifer) came as an obvious partner. Tacking fiercer competition (consolidation and liberalization), and uncertainty in the mature markets towards renewable energy production subsidization (regulation) due to the hazy economic environment, with decreasing costs by integrating a downstream company may be a valuable comparative advantage. Both companies are quoted in the Portuguese Stock Market, with a worldwide scope though - increasing the benefit of merging. This dissertation will, then, focuses on analyzing the previously referred companies, being Martifer the target of EDP R in the attempt to integrate the business segments, not only in the wind segment, but also diversify through the solar one. Additionally there is potential of evolving in the best practices developed and improve management. In order to do so a careful industry analysis was developed, covering in total five industries: metallic constructions, wind and solar energy systems production and project development; and electricity production from both renewable sources: wind and solar. EDP R and Martifer are, as of 31st of December 2012, according to the valuation performed, undervalued companies, with considerable upside values. Moreover, the latent synergies were esteemed and represent a 40% premium over Martifer’s average market capitalization of 2012.
- The case of Cimpor and Camargo Correa : mergers and acquisitionsPublication . Ribeiro, João Augusto Clemente; Tsvetkov, PeterCement is an expanding industry dominated by emerging markets, which in 2011consumed 89% of the global demand. The industry has high barriers to entry and high initial investments which leads the market to be relatively concentrated among the biggest players. Therefore companies need to have high production capacities and diversified risk in order to be competitive. That was the solution found by the group Camargo Correa, to make a takeover over Cimpor that is a Portuguese company operating in eleven countries among four continents. Thereby the focus of my dissertation is to calculate both companies’ standalone values and subsequently synergies, within a goal of comparing my valuation with the price offered by the group Camargo Correa. Hence, Cimpor’s share price is considered to have a 5.18% upside potential and synergies of 0.58 Euros. This is equivalent to a total premium over Cimpor’s average share price in 2011 of 16, 58 %. Consequently in my point of view 5.91 Euros per share should have been the fair price offered by Camargo Correa to Cimpor. Nevertheless, compared with the price offered by Camargo Correa of 5, 5 there is a difference of 7.38% or 0.41 Euros per share, which I consider that, came from both an underestimation of the value of the synergies and Cimpor’s upside potential.